CHIMERA INVESTMENT CORP

The Company

We are a diversified real estate company that invests in, originates, and manages primarily residential real estate assets. The assets we may invest in and manage for others, through our wholly-owned subsidiary Palisades Advisory Services LLC (“PAS”), include residential mortgage loans, Non-Agency RMBS, Agency RMBS, business purpose loans (including RTLs) and investor loans, MSRs and other real estate-related assets such as Agency CMBS, junior liens and HELOCs, equity appreciation rights, and reverse mortgages. Also, through our wholly-owned subsidiary, HomeXpress Mortgage Corp. (“HomeXpress”), we originate consumer Non-QM and investor business purpose residential mortgage loans as well as QM residential mortgage loans. Chimera Investment Corporation was incorporated in Maryland on June 1, 2007 and started trading on the NYSE in November 2007, and is structured as an internally managed real estate investment trust (REIT) for U.S. federal income tax purposes.

Acquisition of HomeXpress Mortgage Corp.

On October 1, 2025, the Company completed the acquisition of HomeXpress (the “HomeXpress Acquisition”) for total consideration of $272 million, which consisted of (i) cash of $124 million, representing the Adjusted Book Value of HomeXpress as of September 30, 2025, (ii) cash premium of $120 million, and (iii) issuance of 2,077,151 shares of the Company's common stock. As a result of the HomeXpress Acquisition, the Company began originating consumer Non-QM, investor business purpose, and other mortgage loan products through its subsidiary, HomeXpress during the fourth quarter.

In 2025, the Company reevaluated its composition and the number of our reportable segments based on changes in the significance of certain business activities, including the HomeXpress Acquisition. As a result of this reevaluation, the Company reports as two reportable segments: (i) Investment Portfolio, and (ii) Residential Origination. The Investment Portfolio segment consists of the Company’s investments and third-party advisory services activities. The Residential Origination segment consists of the stand-alone mortgage origination business of HomeXpress that originates consumer Non-QM, investor business purpose, and other Non-Agency and Agency mortgage loan products.

Our Business Strategy

Our principal business objectives are to provide attractive risk-adjusted returns and distributable income through investment performance linked to mortgage credit fundamentals and to grow our enterprise value of time. Through our mortgage lending, investment management, and advisory services platforms, we operate as a fully integrated mortgage business that originates, manages, and invests in a diversified range of mortgage assets. We invest, directly or indirectly, generally on a levered basis across a spectrum of mortgage assets, including residential mortgage loans, Non-Agency RMBS, Agency RMBS, Agency CMBS, MSRs, business purpose and investor loans, including RTLs, and other real estate-related assets. Net interest income from our investment portfolio is the interest income we earn on investments less the interest expense we incur on borrowed funds. In addition, we generate income from our third-party investment management and advisory services. Currently, the primary sources of such income are the fees we receive from institutions for our non-discretionary investment management and advisory services less the cost of providing such services. In the future, an additional source of fees and incentive based income may be from our investment management and advisory services provided on a discretionary basis through investment funds that we manage (the “Discretionary Funds”). Through our subsidiary, HomeXpress, we originate consumer Non-QM, investor business purpose, and other Non-Agency and Agency mortgage loan products. HomeXpress primarily generates income from the origination and sale of its mortgage loan products and, to a lesser degree, the interest on its loans held for sale.

We plan to execute our business strategy through a combination of organic and external growth, depending on opportunities and market conditions. In addition to our strategy of building a durable portfolio of residential mortgage assets, we intend to continue to grow our fee income and enterprise value by growing our existing operational platforms as well as looking for opportunities to acquire additional operating platforms, including entities that originate or service mortgage loans, and other businesses, partnerships or investments that could enhance our business activities and returns to our shareholders through diversification of revenue and growth of our enterprise value. Additional loan origination growth for HomeXpress is expected to be realized primarily from further development of its existing wholesale origination network but also from the growth in its recent implementation of a non-delegated correspondent channel for consumer Non-QM and investor business purpose loans and expansion of its FHA, VA and conventional agency-conforming lending. We also plan to source additional assets for investment in the Chimera portfolio to our managed portfolios as well as adding gains on the origination and sale of the loans that HomeXpress originates. We believe that our strategy of generating income from our portfolio along with fees and incentive-based income from our third-party investment management and advisory services and loan origination business, while remaining open to opportunities to enhance these activities, will provide us an opportunity to pay dividends throughout changing market cycles and grow our share price over time through increasing our enterprise value.

Our Investment Strategy

We selectively invest in residential mortgage assets with a focus on credit analysis and risk management. Our risk management approach emphasizes asset-level credit performance, prepayment and interest rate sensitivity. We make investment decisions based on various factors, including expected cash yield, relative value, risk-adjusted returns, credit fundamentals, macroeconomic considerations, supply and demand dynamics, credit and market risk concentration limits, liquidity, cost of financing and financing availability. Our investment strategy is intended to take advantage of opportunities in the current interest rate and credit environment. We adjust our strategy in response to changing market conditions by shifting our asset allocations across various asset classes as interest rate and credit cycles change over time. Subject to maintaining our REIT status and exemption from registration under the 1940 Act, we do not have any limitations on the amounts we may invest in any of our targeted asset classes for our own account. Investments made on behalf of the Discretionary Funds are subject to any investment limitations and guidelines set forth in the related constituent documentation, including the offering documents and the limited partnership agreements of the Discretionary Funds.

We use leverage to increase potential returns from our investments. Our income is generated primarily by the difference, or net spread, between the income we earn on our assets and the cost of our borrowings. We expect to finance our investments using a variety of financing sources, including securitizations, secured borrowings through the use of warehouse facilities and repurchase agreements, and the issuance of debt and equity capital. We may seek to manage our debt and interest rate risk by utilizing interest rate hedges, such as interest rate swaps, caps, options and futures to reduce the effect of interest rate fluctuations related to our financing sources.

During 2025, we focused on diversifying the portfolio and repositioning the Company as a diversified, vertically integrated residential real estate platform. To execute on these objectives, we exercised redemption rights with respect to several securitized transactions and raised capital organically through re-securitizations of the underlying mortgage loans and loan sales to third parties. We also raised capital through monetizing certain fully valued assets as well as through the issuance of senior unsecured debt. These activities provided the capital necessary as we expanded our platform and mortgage lending capabilities through the acquisition of HomeXpress, increased our allocation to liquid Agency RMBS, made our first investment in MSRs, and began to reshape our allocation of capital, investment mix, and sources of income and earnings.

In 2026, we intend to continue our investment focus on active portfolio management, capital allocation discipline, and risk management in light of ongoing market uncertainty. This includes seeking to position the portfolio with a focus on liquidity, financing flexibility, and moderate leverage levels to maintain the capacity to provide capital and liquidity opportunistically across market conditions. We also remain attentive to potential business acquisition opportunities that align with our strategy.

We plan to monetize assets that we believe are fully valued or where relative value has diminished, and to redeploy capital toward investments that we believe offer more attractive risk-adjusted returns consistent with our long-term portfolio objectives. Subject to capital availability, we may seek to further diversify the portfolio, including maintaining and, where appropriate, increasing our allocation to liquid Agency MBS, selectively adding to our MSR investments to offset interest rate exposure in other portfolio segments, and pursuing investments that align with our long-term return and risk parameters.

In addition, we also intend to seek to add direct partnerships with lenders as a means to source investments, and we will continue to work closely with our mortgage lending platform, HomeXpress, which serves as an important component of our investment and capital allocation strategy. The platform provides loan production capabilities, market insight, and asset sourcing channels that support loan sale activity, portfolio investment and earnings diversification objectives. We believe this integrated approach enhances our ability to evaluate relative value across origination and secondary markets, manage capital deployment, and respond to changing market conditions.

We expect to continue financing our investments using a variety of sources, and as part of our overall strategy, may continue to finance a portion of our loan portfolio with long-term secured facilities.

When we securitize mortgage loans, we typically retain the most subordinate classes of securities, which means we are the first-loss security holder. Losses on any residential mortgage loan securing our RMBS will be borne first by the owner of the property (i.e., the owner will first lose any equity invested in the property) and, thereafter, by us as the first-loss security holder, and then by holders of more senior securities. In addition, most of these subordinate securities are subject to the Dodd-Frank Act and related laws and regulations relating to credit risk retention for securitizations, (the “Risk Retention Rules”) which significantly limits the liquidity of these securities. See “ Risk Factors - Risks Associated with Our Investments - A significant portion of our investments are in Non-Agency RMBS that are the most subordinate securities in securitizations, making us the first-loss security holder, which means these securities are subject to significant credit risk, are illiquid, and are difficult to value.” discussion in Item 1A “Risk Factors” section for more details. We generally finance these subordinate securities with secured financing agreements. The securities we do not retain are typically sold through securities underwriters. Other than the Risk Retention Rules, there is no limit on the amount we may retain of these below-investment-grade subordinate certificates.

Our Securitization Programs

We currently have the following five securitization programs:

•Our “R” program securitizes seasoned RPLs, whether newly acquired from a third party or upon the exercise of our redemption rights, in a Real Estate Mortgage Investment Conduit (“REMIC”) transaction;

•Our “NR” program securitizes seasoned residential mortgage loans that are not eligible to be securitized in REMIC, transactions;

•Our “I” program securitizes Non-Agency eligible investor mortgage loans;

•Our “J” program securitizes jumbo prime residential mortgage loans; and

•Our “INV” program securitizes Agency-eligible investor mortgage loans.

We did not sponsor any securitizations under our “J” and “INV” programs during the year ended December 31, 2025.

“R” and “NR” Non-Rated Programs. The securities issued in our “R” and “NR” securitizations are generally not rated and are subject to the Risk Retention Rules. In these programs, we typically sell the senior securities to an unrelated third party and retain the subordinate securities, which include the first-loss securities which are subject to the Risk Retention Rules, and the IOs. During 2025, we sponsored one “R” securitization and one “NR” securitization. We are generally required under GAAP to consolidate the assets and liabilities of the “NR” and “R” securitization entities for financial reporting purposes. Each of the consolidated entities is independent of us and of each other, and the assets and liabilities of these entities are not owned by us or legal obligations of ours, respectively, although we are exposed to certain financial risks associated with any role we carry out for these entities (e.g., as sponsor, depositor or asset manager) and, to the extent we hold securities issued by, or other investments in, these entities, we are exposed to the performance of these entities and the assets they hold. PAS, our wholly-owned asset management capability, served as asset manager on each of these two securitizations.

“I” Programs. The securities issued in our “I” securitizations are rated by one or more nationally recognized statistical ratings organizations and are subject to the Risk Retention Rules. In these programs, we typically sell the senior securities to an unrelated third party and retain the subordinate securities, which include the first-loss securities which are subject to the Risk Retention Rules, and the IOs. We are generally required under GAAP to consolidate the assets and liabilities of the “I” securitization entities for financial reporting purposes. During 2025, we sponsored one “I” securitization.

The table below sets forth certain information about our “R”, “NR”, and “I” securitizations we completed during the year ended December 31, 2025.

(1) For certain of the above securitization deals, we retained certain IO and/or excess servicing classes.

(2) At the time of issuance.

Our Investment Portfolio Segment

As of December 31, 2025, based on the fair value of our interest earning assets, approximately 65% of our investment portfolio was allocated to residential mortgage loans, 23% to Agency MBS, 5% to Non-Agency RMBS and less than 1% to interests in MSR financing receivables (excluding loans held for sale by HomeXpress). As of December 31, 2025, based on the fair value of our interest earning assets approximately 6% of our portfolio capital was allocated to loans held for sale. As of December 31, 2024, based on the fair value of our interest earning assets, approximately 88% of our investment portfolio was allocated to residential mortgage loans, 4% to Agency RMBS, and 8% to Non-Agency RMBS.

The following briefly discusses the principal types of investments that we have made and may in the future make:

Residential Mortgage Loans

We invest in residential mortgage loans through secondary market purchases from banks, non-bank financial institutions, lenders, originators, and the Agencies, and we may choose to retain loans originated by HomeXpress, our wholly owned lending subsidiary acquired in 2025. These loans may include reperforming mortgage loans, RTLs, investor loans, prime jumbo loans, Non-QM loans, junior lien loans and other types of loans secured by residential real property.

As of December 31, 2025, our residential mortgage loan portfolio is comprised primarily of seasoned reperforming residential mortgage loans, along with investments in jumbo prime loans, investor loans and business purpose loans (including RTLs).

Our seasoned reperforming loans are loans that have been previously delinquent or in default and returned to performing status as a result of sustained borrower payment performance, typically following a loan modification, repayment plan, or other foreclosure prevention activity. The majority of our seasoned reperforming loan portfolio consists of loans that were originated prior to 2010.

Our business purpose loans, or RTLs, are loans to businesses that are secured by real property where the proceeds are generally used by the borrower to acquire and renovate the property. Upon completion of the renovation, the borrower will typically either (i) sell the property, or (ii) refinance and retain the property as a portfolio rental. Most, but not all, of the properties securing our RTLs are residential, and a portion of the loan is used to cover renovation costs. Our RTLs are included as a part of our loans held for investment portfolio and are carried at fair value. Our RTLs tend to be short duration, often less than one year, and generally the coupon rate is higher than other traditional residential mortgage loan products, which we believe are good asset traits in times of rate volatility. Currently, we do not use term securitization to finance RTLs, but we may evaluate term securitization in the future as a means of financing the portfolio.

Our investor loans are made to individuals securing non-primary residences as well as to individuals or businesses who rent the residential properties secured by such loans. We invest in loans that are eligible for sale to one or more of the Agencies as well as loans that are not eligible for sale to either of the Agencies. In both cases, with respect to our investment portfolio, we securitize the investor loans as part of our loan securitization program.

Our jumbo prime loans are residential mortgage loans made to creditworthy borrowers that exceed the conforming loan limits established by the FHFA and therefore are not eligible for purchase or guarantee by Fannie Mae or Freddie Mac. These loans are generally underwritten to traditional prime credit standards, including strong borrower credit profiles, documented income and assets, and conservative LTV ratios, but are classified as non-conforming due solely to their loan size.

Our recently acquired mortgage origination unit, HomeXpress, primary originates consumer Non-QM and investor business purpose loans. Non-QM loans are residential mortgage loans that may not meet the standards required for classification as qualified mortgages under the CFPB’s Ability-to-Repay Rule which requires a creditor to make a reasonable, good faith determination of a consumer’s ability to repay a residential mortgage loan according to its terms. These loans may feature alternative income documentation, higher debt-to-income ratios, or other non-traditional underwriting characteristics, while generally remaining in compliance with applicable consumer protection and disclosure requirements. We may evaluate from time to time opportunities to retain consumer Non-QM and investor business purpose loans originated by HomeXpress and securitize those loans in Company sponsored securitization transactions.

We primarily use securitization to finance our investments in residential mortgage loans. However, in certain instances we may retain them in our portfolio as loans held for investment. Until we securitize our residential mortgage loans, we finance our residential mortgage loan portfolio through warehouse facilities and repurchase agreements, as discussed under “Our Financing Strategy” below.

Third-party servicers service the mortgage loans in our portfolio. We conduct a due diligence review of each servicer before the servicer is retained and periodically thereafter. The duties of servicers are generally required to be performed in accordance with industry-accepted servicing practices and the terms of the relevant servicing agreement, mortgage note and applicable law. In the future, however, subject to obtaining the requisite licenses and approvals, we may elect to service mortgage loans and other types of assets.

We engage third parties to perform independent reviews of the mortgage files to assess the credit underwriting and adherence to compliance at origination with respect to the mortgage loans, as well as our ability to enforce the lien on the related mortgaged